Details about Mattias Villani

Access statistics for papers by Mattias Villani.

Last updated 2009-11-12. Update your information in the RePEc Author Service.

Short-id: pvi83

Working Papers

2007

1. Evaluating An Estimated New Keynesian Small Open Economy Model
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations
   See also Journal Article in Journal of Economic Dynamics and Control (2008)
2. Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2006

3. Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations
   Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) View citations
4. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations
   See also Journal Article in International Journal of Central Banking (2007)

2005

5. Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations
6. Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations
   See also Journal Article in Journal of International Economics (2007)
7. Bayesian Inference of General Linear Restrictions on the Cointegration Space
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
8. Bayesian approaches to cointegratrion
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
   Also in Discussion Papers in Economics, Department of Economics, University of Leicester (2004) View citations
9. Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations

2004

10. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
    See also Journal Article in Journal of Time Series Analysis (2006)
11. The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2003

12. Bayes Estimators of the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
13. Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations
    Also in Working Paper Series, European Central Bank (2003) View citations

2000

14. Panel Regression with Unobserved Classes
    Working Paper Series in Economics and Finance, Stockholm School of Economics

1999

15. Bayesian Prediction with a Cointegrated Vector Autoregression
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations

Journal Articles

2009

1. Steady-state priors for vector autoregressions
   Journal of Applied Econometrics, 2009, 24, (4), 630-650 View citations

2008

2. EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA
   Macroeconomic Dynamics, 2008, 12, (S1), 2-19 View citations
3. Evaluating an estimated new Keynesian small open economy model
   Journal of Economic Dynamics and Control, 2008, 32, (8), 2690-2721 View citations
   See also Working Paper (2007)

2007

4. Bayesian Analysis of DSGE Models - Some Comments
   Econometric Reviews, 2007, 26, (2-4), 173-185
5. Bayesian estimation of an open economy DSGE model with incomplete pass-through
   Journal of International Economics, 2007, 72, (2), 481-511 View citations
   See also Working Paper (2005)
6. Forecasting Performance of an Open Economy DSGE Model
   Econometric Reviews, 2007, 26, (2-4), 289-328 View citations
7. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
   International Journal of Central Banking, 2007, 3, (4), 111-144 View citations
   See also Working Paper (2006)

2006

8. A Bayesian Approach to Modelling Graphical Vector Autoregressions
   Journal of Time Series Analysis, 2006, 27, (1), 141-156
   See also Working Paper (2004)
9. Bayesian point estimation of the cointegration space
   Journal of Econometrics, 2006, 134, (2), 645-664 View citations

2005

10. An estimated New Keynesian small open economy model
    Proceedings, 2005 View citations
11. Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open-Economy Model
    International Finance, 2005, 8, (3), 509-544 View citations
12. BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
    Econometric Theory, 2005, 21, (02), 326-357 View citations
13. The Role of Sticky Prices in an Open Economy DSGE Model: A Bayesian Investigation
    Journal of the European Economic Association, 2005, 3, (2-3), 444-457 View citations

2004

14. Bayesian assessment of dimensionality in reduced rank regression
    Statistica Neerlandica, 2004, 58, (3), 255-270 View citations

2001

15. A distance measure between cointegration spaces
    Economics Letters, 2001, 70, (1), 21-27 View citations
16. Bayesian prediction with cointegrated vector autoregressions
    International Journal of Forecasting, 2001, 17, (4), 585-605 View citations